Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0240 |
| Annualized Std Dev | 0.2300 |
| Annualized Sharpe (Rf=0%) | -0.1043 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5588.0000 |
| NAs | 1.0000 |
| Minimum | -0.2094 |
| Quartile 1 | -0.0056 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0063 |
| Maximum | 0.1189 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0004 |
| Variance | 0.0002 |
| Stdev | 0.0145 |
| Skewness | -0.8732 |
| Kurtosis | 18.3903 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0108 |
| Gain Deviation | 0.0101 |
| Loss Deviation | 0.0124 |
| Downside Deviation (MAR=210%) | 0.0153 |
| Downside Deviation (Rf=0%) | 0.0108 |
| Downside Deviation (0%) | 0.0108 |
| Maximum Drawdown | 0.8335 |
| Historical VaR (95%) | -0.0220 |
| Historical ES (95%) | -0.0357 |
| Modified VaR (95%) | -0.0218 |
| Modified ES (95%) | -0.0404 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 1999-07-07 | 2009-03-09 | NA | -0.8335 | 5463 | 2433 | NA |
| 1999-05-14 | 1999-05-27 | 1999-06-30 | -0.0591 | 33 | 10 | 23 |
| 1999-01-12 | 1999-03-04 | 1999-04-22 | -0.0526 | 70 | 36 | 34 |
| 1999-04-26 | 1999-04-26 | 1999-04-27 | -0.0142 | 2 | 1 | 1 |
| 1999-04-28 | 1999-05-06 | 1999-05-10 | -0.0094 | 9 | 7 | 2 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0 | 1 | 0.5 | -0.5 | 0 | 0 | 0.5 | 0.5 | -0.5 | -1 | 0.5 | 2.3 | 3.3 |
| 2000 | 0.6 | -2.9 | 2.3 | 1.1 | 4.4 | -1 | 1 | 1 | 0 | -0.5 | 0 | 1 | 7 |
| 2001 | -0.1 | -2.4 | 0.2 | 1 | 0 | -0.4 | 1.1 | 0.5 | -1.3 | -0.6 | 0.6 | -1.1 | -2.5 |
| 2002 | -0.2 | 0.5 | 0.1 | 0.7 | 0.5 | -3 | -3.4 | -1 | 3.3 | 2.7 | 0 | -0.3 | -0.4 |
| 2003 | 1.5 | -0.3 | 0.7 | -0.8 | 1.4 | -0.1 | -0.2 | 0.7 | 1.8 | 1.8 | 1.4 | 0.7 | 8.9 |
| 2004 | 0.6 | 0.8 | 1 | 0.1 | 0.3 | -1.5 | 0.6 | 0.8 | 1.3 | 0.2 | 0.7 | -0.8 | 4.1 |
| 2005 | 0.8 | 0.2 | -0.1 | 0.6 | 0.3 | 0.1 | 0.2 | -0.3 | -0.3 | -0.2 | 0.8 | 0.6 | 2.7 |
| 2006 | 0 | -1.3 | -0.5 | 0.1 | 0.4 | 0 | -0.1 | 0.5 | 0.4 | -0.4 | -0.4 | 0.6 | -0.6 |
| 2007 | 0.6 | 0 | -0.4 | 0.1 | 0 | 0.2 | -0.9 | 1.1 | 0.5 | -1.3 | 0.4 | 0.6 | 0.9 |
| 2008 | 1.6 | -2.3 | 2.8 | 0.3 | 0.9 | -0.2 | -0.3 | -0.2 | 2 | 1.6 | -8.3 | 4.8 | 2.1 |
| 2009 | -2.8 | -3.3 | 1 | 0 | 1.7 | 1.7 | 0.3 | -1.6 | -1.2 | -1.9 | 1.9 | -0.9 | -5.1 |
| 2010 | 2.4 | -0.4 | 0.8 | 0 | 1.4 | -1.3 | 0.7 | 2 | 0.5 | -0.4 | 1.7 | 0.2 | 7.8 |
| 2011 | 1.2 | -1.3 | 0.6 | 0 | -1.5 | 1 | 0 | -0.9 | -3.1 | -3.3 | 0.5 | 0 | -6.8 |
| 2012 | 0.9 | 0.4 | 0.6 | 0.6 | -2.7 | 1.6 | -0.9 | 0.4 | 0.2 | 2.4 | -1.3 | 1.9 | 4.1 |
| 2013 | 0.8 | 0.2 | -0.2 | -1.5 | -1.1 | 0.4 | 0.9 | -0.6 | 1.7 | -0.1 | -0.2 | 0.7 | 0.9 |
| 2014 | -0.4 | 0.2 | 0.9 | 0.3 | -0.2 | 1 | -1 | -0.3 | -1.2 | 1.6 | -1.5 | -0.5 | -1.2 |
| 2015 | -0.9 | -0.2 | -0.7 | 0.9 | -0.2 | 0.3 | 0.2 | -2.6 | -1.2 | 0 | 0.8 | 0 | -3.5 |
| 2016 | 0 | 2.8 | 0 | -0.4 | 0.6 | 0.2 | -0.8 | 0 | 1.4 | -1 | -1 | -0.4 | 1.4 |
| 2017 | 0.2 | 1.7 | -0.5 | 0.4 | 1.1 | 0.5 | 0.7 | 1.4 | 0.5 | 0.5 | 0 | 0 | 6.5 |
| 2018 | 0 | -1.9 | 0.7 | -0.5 | 1.4 | 0.6 | 0 | -0.4 | 0.3 | 3.1 | 0.8 | 0.2 | 4.3 |
| 2019 | 0 | 0.2 | 1.3 | -0.6 | -2.1 | 0.3 | -1.4 | -0.3 | -0.6 | 1.1 | -0.2 | 0.6 | -1.9 |
| 2020 | -1.3 | -2.3 | -7.6 | -3.9 | 0.4 | 0.5 | 0.2 | 0.6 | 0.3 | -1.4 | 1.7 | 0.1 | -12.3 |
| 2021 | 2.9 | 2 | 0.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 5.6 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 1999-01-04 12.9 SPY 123. NA NA NA NA NA NA NA <NA> NA NA NA
2 1999-01-05 12.9 SPY 124. 0.0114 NA NA NA NA NA NA <NA> NA NA NA
3 1999-01-06 13 SPY 127. 0.0241 NA NA NA NA NA NA <NA> NA NA NA
4 1999-01-07 13 SPY 127. -0.0049 NA NA NA NA NA NA <NA> NA NA NA
5 1999-01-08 13.1 SPY 128. 0.0074 NA NA NA NA NA NA <NA> NA NA NA
6 1999-01-11 13.1 SPY 127. -0.0095 0.0284 NA NA NA NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
